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UNCERTAINTY SURROUNDING THE U.S. NAIRU ESTIMATES OF ESTRELLA AND MISHKIN (1999)

허현승|CHARLES HARVIE
한국경제학회 (The Korean Economic Association)|2007.06|The Korean Economic Review|제23권 제1호|pp. 49-63

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참고문헌

키워드

UncertaintyNAIRUFat tailsBlock bootstrap
주제분류경제학

초록

Estrella and Mishkin(1999) propose a promising method to estimate the NAIRU for the U.S. However, their uncertainty measure of the NAIRU estimates is problematic, as the underlying assumption of normality is violated. We apply the block bootstrap techniques to offer a better measure of precision. One implication is that their method underestimates the true uncertainty surrounding the NAIRU estimates.

Abstract

Estrella and Mishkin(1999) propose a promising method to estimate the NAIRU for the U.S. However, their uncertainty measure of the NAIRU estimates is problematic, as the underlying assumption of normality is violated. We apply the block bootstrap techniques to offer a better measure of precision. One implication is that their method underestimates the true uncertainty surrounding the NAIRU estimates.

참고문헌 (19)

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